An introduction to Levy processes with financial modelling in mind
Matthias Winkel, University of Oxford, United Kingdom
In this talk I will take some care to introduce the general class of Levy
processes as well as the most relevant parametric families. I will explain
how these can be used for modelling purposes, directly or as driving
processes for more general stochastic processes. As an application,
I'll discuss stochastic volatility modelling and some questions arising
when doing inference in the presence of jumps, based on joint work
with Ole Barndorff-Nielsen and Neil Shephard.
